Two approaches to modelling the volatility skew

Two approaches to modelling the volatility skew

Includes bibliographical references (leaves 97-100). === This study examines two approaches to modelling the volatility skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The first approach involves using historical prices of the underlying index to obtain a mod...

Full description

Bibliographic Details
Main Author: Masawi, Chipo
Other Authors: Bosman, Petrus
Format: Dissertation
Language:English
Published: University of Cape Town 2014
Subjects:
Financial Mathematics
Online Access:http://hdl.handle.net/11427/4908
id ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-4908
record_format oai_dc
spelling ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-49082021-02-24T05:17:37Z Two approaches to modelling the volatility skew Masawi, Chipo Bosman, Petrus Financial Mathematics Includes bibliographical references (leaves 97-100). This study examines two approaches to modelling the volatility skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The first approach involves using historical prices of the underlying index to obtain a model of the skew. Two models that use this approach, namely the Edgeworth and Normal Mixture AGARCH models were implemented. 2014-07-31T08:08:56Z 2014-07-31T08:08:56Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4908 eng application/pdf University of Cape Town Faculty of Science Department of Mathematics and Applied Mathematics
collection NDLTD
language English
format Dissertation
sources NDLTD
topic Financial Mathematics
spellingShingle Financial Mathematics
Masawi, Chipo
Two approaches to modelling the volatility skew
description Includes bibliographical references (leaves 97-100). === This study examines two approaches to modelling the volatility skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The first approach involves using historical prices of the underlying index to obtain a model of the skew. Two models that use this approach, namely the Edgeworth and Normal Mixture AGARCH models were implemented.
author2 Bosman, Petrus
author_facet Bosman, Petrus
Masawi, Chipo
author Masawi, Chipo
author_sort Masawi, Chipo
title Two approaches to modelling the volatility skew
title_short Two approaches to modelling the volatility skew
title_full Two approaches to modelling the volatility skew
title_fullStr Two approaches to modelling the volatility skew
title_full_unstemmed Two approaches to modelling the volatility skew
title_sort two approaches to modelling the volatility skew
publisher University of Cape Town
publishDate 2014
url http://hdl.handle.net/11427/4908
work_keys_str_mv AT masawichipo twoapproachestomodellingthevolatilityskew
_version_ 1719378260574339072

Similar Items